Neglect small singular value in JacobiSVD::solve and add JacobiSVD::rank()
Submitted by Gael Guennebaud @ggael
Assigned to Nobody
Link to original bugzilla bug (#620)
Version: 3.2
Description
Created attachment 356
Patch for JacobiSVD::solve and Jacobi::rank
Currently JacobiSVD::solve uses all the non zeros singular-values for solving, i.e., without any thresholding. In practice this led to many numerical issue and large errors for hill conditioned matrices. So far I recommended to use ColPivHouseholderQR but it's time to fix JacobiSVD. Here is a quick patch proposal.
Perhaps we should offert the possibility to tweak the threshold as in ColPivHouseholderQR?
We should also add regression tests.
Attachment 356, "Patch for JacobiSVD::solve and Jacobi::rank":
neglect_small_singularvalues.diff